臺指選擇權波動率偏差對臺股期貨報酬率之預測能力

The Predictive Power of Options Implied Volatility Skewness on TAIEX Futures Return

邱孟杰(Meng-Chieh Chiu)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓

淡江大學/商管學院/財務金融學系碩士班/碩士(2022年)

https://doi.org/10.6846/TKU.2022.00803

摘要

本研究主要為探討臺指選擇權波動率偏差對臺股期貨報酬之預測能力。依循Doran, Peterson, and Tattant (2007) 與 Xing, Zhang, Zhao (2010) 所提出的價外選擇權隱含波動率偏差，並加入流動性代理變數來觀察價外選擇權隱含波動率偏差對臺股期貨報酬是否有預測能力。
研究中，參照Xing et al. (2010) 的價性定義，根據篩選出流動性最佳且最適當的價外賣權與價外買權。對於各市場的不同的搓合機制，本研究以重建揭示檔的方式來避免資料時間不同的問題。最後本研究採用穩健性檢定，檢驗在不同時間區間的情況下，價外選擇權波動率偏差對臺股期貨報酬率是否尚有預測之能力。
實證結果發現，價外賣權波動率偏差對臺股期貨報酬之預測能力有顯著相關，且符合 Xing et al. (2010) 的研究結果呈現負向的顯著關係；而價外買權波動率偏差對臺股期貨報酬率之預測能力有正向顯著相關，且在穩健性檢定結果中也再次證實。於高波動期間時，價外賣權波動率偏差對臺股期貨報酬具預測能力；價外買權則無。顯示在散戶為主之臺灣期貨市場，交易人通常會交易價外股指賣權作為空頭市場的交易策略。最後，本研究透過回測來證實波動率偏差的可預測性，價外賣權波動率偏差進行交易所獲得的平均日報酬(0.4729%)遠高於價外買權波動率偏差(0.0193%)且穩定。

關鍵字

隱含波動率 ； 期貨報酬預測 ； 波動率偏差 ； 價性

並列摘要

This study mainly explores the ability of out-of-the-money option volatility skewness to predict Taiwan stock futures return. Follow the implied volatility skewness of out-of-the-money options proposed by Doran, Peterson, and Tattant (2007) and Xing, Zhang, Zhao (2010), and add liquidity proxy variables to discuss the out-of-the-money options implied volatility skewness whether it has the ability to predict on TAIEX futures return.
In the study, referring to the definition of moneyness by Xing et al. (2010), the best liquidity and the most appropriate out-of-the-money call options and out-of-the-money put options are screened out. Finally, this study uses robustness test to test whether the implied volatility skewness of out-of-the-money options has the ability to predict the TAIEX futures return in different time intervals.
The empirical results show that the implied volatility skewness of out-of-the-money put options has a significant correlation with the forecasting ability of TAIEX futures returns, which is in line with the research results of Xing et al. The implied volatility skewness of out-of-the-money call options has a positive and significant correlation with the predictive power of TAIEX futures return, which is also confirmed in the robustness test results. Based on the above research results, it can be concluded that the implied volatility skewness of out-of-the-money options has a certain predictive power for TAIEX futures return.

並列關鍵字

Implied Volatility ； Futures return ； Skewness

參考文獻

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